You can change your preference of how many messages you want to view at once, 10/25/50/100. (options/preferences > mail > number of items to display per page)
CTL-A would select all on that page.
(See the options shortcuts tab for some other good quick keys.)

And before you ask
It would be a lot of traffic if someone had a huge folder and loaded it into their browser, but you can still delete the folder itself (you did say you wanted to 'select all and delete').